Information about:
Nadima El-Hassan

Other registered authors

Email:
Homepage: http://datasearch.uts.edu.au/business/staff/finance/details.cfm?StaffId=84
Postal Address: PO Box 123 Broadway NSW 2007 Australia
Phone: +61 2 9514 7725

Affiliation

• School of Finance and Economics
  University of Technology

  Location: Sydney, Australia
  Homepage: http://www.business.uts.edu.au/finance/
  Email:
  Phone: +61 2 9514 7777
  Fax: +61 2 9514 7711
  Postal: PO Box 123, Broadway, NSW 2007
  Handle: RePEc:edi:sfutsau (registered authors at this institution)

• Quantitative Finance Research Centre
  School of Finance and Economics
  University of Technology

  Location: Sydney, Australia
  Homepage: http://www.business.uts.edu.au/qfrc/
  Email:
  Phone: +61 2 9514-7777
  Fax: +61 2 9514-7711
  Postal: PO Box 123, Broadway, NSW 2007
  Handle: RePEc:edi:qfutsau (registered authors at this institution)

Working papers

1. Carl Chiarella & Nadima El-Hassan & Adam Kucera, 2004. "Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions," Research Paper Series 126, Quantitative Finance Research Centre, University of Technology, Sydney.

2. D. Colwell & Nadima El-Hassan & Oh-Kang Kwon, 2004. "Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking," Research Paper Series 119, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
   Published as:
   • Colwell, David & El-Hassan, Nadima & Kang Kwon, Oh, 2007. "Hedging diffusion processes by local risk minimization with applications to index tracking," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2135-2151, July. [Downloadable!] (restricted)

3. Nadima El-Hassan & Paul Kofman, 2003. "Tracking Error and Active Portfolio Management," Research Paper Series 98, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

4. Carl Chiarella & Nadima El-Hassan & Adam Kucera, 2002. "The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions," Computing in Economics and Finance 2002 292, Society for Computational Economics.

5. Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2002. "A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models," Computing in Economics and Finance 2002 261, Society for Computational Economics.

6. Carl Chiarella, Nadima El-Hassan & Adam Kucera, 2000. "The Evaluation Of Multiasset European And American Options Via Fourier Hermite Series Expansions," Computing in Economics and Finance 2000 287, Society for Computational Economics.

7. Ram Bhar & Carl Chiarella & Nadima El-Hassan & Xiaosu Zheng, 2000. "The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option," Research Paper Series 36, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

8. Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2000. "The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology," Research Paper Series 39, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

9. Carl Chiarella & Nadima El-Hassan, 1999. "Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines," Research Paper Series 12, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

10. Carl Chiarella & Nadima El-Hassan, 1997. "A Survey of Models for the Pricing of Interest Rate Derivatives," Working Paper Series 75, School of Finance and Economics, University of Technology, Sydney.

11. Carl Chiarella & Nadima El-Hassan, 1997. "Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques," Working Paper Series 72, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]

12. Carl Chiarella & Nadima El-Hassan, 1996. "A Preference Free Partial Differential Equation for the Term Stucture of Interest Rates," Working Paper Series 63, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]

13. Carl Chiarella, Nadima El-Hassan, & Adam Kucera, . "Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions," Computing in Economics and Finance 1997 132, Society for Computational Economics. [Downloadable!]

1. Colwell, David & El-Hassan, Nadima & Kang Kwon, Oh, 2007. "Hedging diffusion processes by local risk minimization with applications to index tracking," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2135-2151, July. [Downloadable!] (restricted)
   Other versions:
   • D. Colwell & Nadima El-Hassan & Oh-Kang Kwon, 2004. "Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking," Research Paper Series 119, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

2. Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2003. "An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models," Computational Economics, Springer, vol. 22(2), pages 113-138, October. [Downloadable!] (restricted)

3. Chiarella, Carl & El-Hassan, Nadima & Kucera, Adam, 1999. "Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1387-1424, September. [Downloadable!] (restricted)

1. NEP-FIN: Finance (2) 2004-06-02 2004-06-02 Author is listed

This page was last updated on 2009-11-25.